Java tutorial
/** * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.strata.pricer.capfloor; import static com.opengamma.strata.market.curve.interpolator.CurveExtrapolators.FLAT; import java.io.Serializable; import java.time.Period; import java.util.ArrayList; import java.util.List; import java.util.Map; import java.util.NoSuchElementException; import java.util.Optional; import java.util.Set; import org.joda.beans.Bean; import org.joda.beans.BeanBuilder; import org.joda.beans.BeanDefinition; import org.joda.beans.ImmutableBean; import org.joda.beans.ImmutableValidator; import org.joda.beans.JodaBeanUtils; import org.joda.beans.MetaProperty; import org.joda.beans.Property; import org.joda.beans.PropertyDefinition; import org.joda.beans.impl.direct.DirectFieldsBeanBuilder; import org.joda.beans.impl.direct.DirectMetaBean; import org.joda.beans.impl.direct.DirectMetaProperty; import org.joda.beans.impl.direct.DirectMetaPropertyMap; import com.google.common.collect.ImmutableList; import com.opengamma.strata.basics.date.DayCount; import com.opengamma.strata.basics.index.IborIndex; import com.opengamma.strata.collect.ArgChecker; import com.opengamma.strata.collect.array.DoubleArray; import com.opengamma.strata.market.ValueType; import com.opengamma.strata.market.curve.Curve; import com.opengamma.strata.market.curve.interpolator.CurveInterpolator; import com.opengamma.strata.market.curve.interpolator.CurveInterpolators; import com.opengamma.strata.market.option.SimpleStrike; import com.opengamma.strata.market.surface.SurfaceMetadata; import com.opengamma.strata.market.surface.Surfaces; import com.opengamma.strata.market.surface.interpolator.GridSurfaceInterpolator; import com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata; import com.opengamma.strata.pricer.option.RawOptionData; /** * Definition of caplet volatilities calibration. * <p> * This definition is used with {@link SurfaceIborCapletFloorletVolatilityBootstrapper}. * The caplet volatilities are computed by bootstrap along the time direction, * thus the interpolation and left extrapolation for the time dimension must be local. * The resulting volatilities object will be a set of caplet volatilities interpolated by {@link GridSurfaceInterpolator}. */ @BeanDefinition(builderScope = "private") public final class SurfaceIborCapletFloorletVolatilityBootstrapDefinition implements IborCapletFloorletVolatilityDefinition, ImmutableBean, Serializable { /** * The name of the volatilities. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final IborCapletFloorletVolatilitiesName name; /** * The Ibor index. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final IborIndex index; /** * The day count to measure the time in the expiry dimension. */ @PropertyDefinition(validate = "notNull", overrideGet = true) private final DayCount dayCount; /** * The interpolator for the caplet volatilities. */ @PropertyDefinition(validate = "notNull") private final GridSurfaceInterpolator interpolator; /** * The shift parameter of shifted Black model. * <p> * The market volatilities are calibrated to shifted Black model if this field is not null. */ @PropertyDefinition(get = "optional") private final Curve shiftCurve; //------------------------------------------------------------------------- /** * Obtains an instance with gird surface interpolator. * * @param name the name of the volatilities * @param index the Ibor index * @param dayCount the day count to use * @param interpolator the surface interpolator * @return the instance */ public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator) { return of(name, index, dayCount, interpolator, null); } /** * Obtains an instance with gird surface interpolator and shift curve. * * @param name the name of the volatilities * @param index the Ibor index * @param dayCount the day count to use * @param interpolator the surface interpolator * @param shiftCurve the shift curve * @return the instance */ public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator, Curve shiftCurve) { return new SurfaceIborCapletFloorletVolatilityBootstrapDefinition(name, index, dayCount, interpolator, shiftCurve); } /** * Obtains an instance with time interpolator and strike interpolator. * <p> * The extrapolation is completed by default extrapolators in {@code GridSurfaceInterpolator}. * * @param name the name of the volatilities * @param index the Ibor index * @param dayCount the day count to use * @param timeInterpolator the time interpolator * @param strikeInterpolator the strike interpolator * @return the instance */ public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator) { return of(name, index, dayCount, timeInterpolator, strikeInterpolator, null); } /** * Obtains an instance with time interpolator, strike interpolator and shift curve. * <p> * The extrapolation is completed by default extrapolators in {@code GridSurfaceInterpolator}. * * @param name the name of the volatilities * @param index the Ibor index * @param dayCount the day count to use * @param timeInterpolator the time interpolator * @param strikeInterpolator the strike interpolator * @param shiftCurve the shift curve * @return the instance */ public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition of(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, CurveInterpolator timeInterpolator, CurveInterpolator strikeInterpolator, Curve shiftCurve) { GridSurfaceInterpolator gridInterpolator = GridSurfaceInterpolator.of(timeInterpolator, strikeInterpolator); return of(name, index, dayCount, gridInterpolator, shiftCurve); } @ImmutableValidator private void validate() { ArgChecker.isTrue(interpolator.getXExtrapolatorLeft().equals(FLAT), "x extrapolator left must be flat extrapolator"); ArgChecker.isTrue( interpolator.getXInterpolator().equals(CurveInterpolators.LINEAR) || interpolator.getXInterpolator().equals(CurveInterpolators.STEP_UPPER) || interpolator.getXInterpolator().equals(CurveInterpolators.TIME_SQUARE), "x interpolator must be local interpolator"); } //------------------------------------------------------------------------- @Override public SurfaceMetadata createMetadata(RawOptionData capFloorData) { List<GenericVolatilitySurfacePeriodParameterMetadata> list = new ArrayList<>(); ImmutableList<Period> expiries = capFloorData.getExpiries(); int nExpiries = expiries.size(); DoubleArray strikes = capFloorData.getStrikes(); int nStrikes = strikes.size(); for (int i = 0; i < nExpiries; ++i) { for (int j = 0; j < nStrikes; ++j) { if (Double.isFinite(capFloorData.getData().get(i, j))) { list.add(GenericVolatilitySurfacePeriodParameterMetadata.of(expiries.get(i), SimpleStrike.of(strikes.get(j)))); } } } SurfaceMetadata metadata; if (capFloorData.getDataType().equals(ValueType.BLACK_VOLATILITY)) { metadata = Surfaces.blackVolatilityByExpiryStrike(name.getName(), dayCount); } else if (capFloorData.getDataType().equals(ValueType.NORMAL_VOLATILITY)) { metadata = Surfaces.normalVolatilityByExpiryStrike(name.getName(), dayCount); } else { throw new IllegalArgumentException("Data type not supported"); } return metadata.withParameterMetadata(list); } //------------------------- AUTOGENERATED START ------------------------- ///CLOVER:OFF /** * The meta-bean for {@code SurfaceIborCapletFloorletVolatilityBootstrapDefinition}. * @return the meta-bean, not null */ public static SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta meta() { return SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE; } static { JodaBeanUtils.registerMetaBean(SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE); } /** * The serialization version id. */ private static final long serialVersionUID = 1L; private SurfaceIborCapletFloorletVolatilityBootstrapDefinition(IborCapletFloorletVolatilitiesName name, IborIndex index, DayCount dayCount, GridSurfaceInterpolator interpolator, Curve shiftCurve) { JodaBeanUtils.notNull(name, "name"); JodaBeanUtils.notNull(index, "index"); JodaBeanUtils.notNull(dayCount, "dayCount"); JodaBeanUtils.notNull(interpolator, "interpolator"); this.name = name; this.index = index; this.dayCount = dayCount; this.interpolator = interpolator; this.shiftCurve = shiftCurve; validate(); } @Override public SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta metaBean() { return SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta.INSTANCE; } @Override public <R> Property<R> property(String propertyName) { return metaBean().<R>metaProperty(propertyName).createProperty(this); } @Override public Set<String> propertyNames() { return metaBean().metaPropertyMap().keySet(); } //----------------------------------------------------------------------- /** * Gets the name of the volatilities. * @return the value of the property, not null */ @Override public IborCapletFloorletVolatilitiesName getName() { return name; } //----------------------------------------------------------------------- /** * Gets the Ibor index. * @return the value of the property, not null */ @Override public IborIndex getIndex() { return index; } //----------------------------------------------------------------------- /** * Gets the day count to measure the time in the expiry dimension. * @return the value of the property, not null */ @Override public DayCount getDayCount() { return dayCount; } //----------------------------------------------------------------------- /** * Gets the interpolator for the caplet volatilities. * @return the value of the property, not null */ public GridSurfaceInterpolator getInterpolator() { return interpolator; } //----------------------------------------------------------------------- /** * Gets the shift parameter of shifted Black model. * <p> * The market volatilities are calibrated to shifted Black model if this field is not null. * @return the optional value of the property, not null */ public Optional<Curve> getShiftCurve() { return Optional.ofNullable(shiftCurve); } //----------------------------------------------------------------------- @Override public boolean equals(Object obj) { if (obj == this) { return true; } if (obj != null && obj.getClass() == this.getClass()) { SurfaceIborCapletFloorletVolatilityBootstrapDefinition other = (SurfaceIborCapletFloorletVolatilityBootstrapDefinition) obj; return JodaBeanUtils.equal(name, other.name) && JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(dayCount, other.dayCount) && JodaBeanUtils.equal(interpolator, other.interpolator) && JodaBeanUtils.equal(shiftCurve, other.shiftCurve); } return false; } @Override public int hashCode() { int hash = getClass().hashCode(); hash = hash * 31 + JodaBeanUtils.hashCode(name); hash = hash * 31 + JodaBeanUtils.hashCode(index); hash = hash * 31 + JodaBeanUtils.hashCode(dayCount); hash = hash * 31 + JodaBeanUtils.hashCode(interpolator); hash = hash * 31 + JodaBeanUtils.hashCode(shiftCurve); return hash; } @Override public String toString() { StringBuilder buf = new StringBuilder(192); buf.append("SurfaceIborCapletFloorletVolatilityBootstrapDefinition{"); buf.append("name").append('=').append(name).append(',').append(' '); buf.append("index").append('=').append(index).append(',').append(' '); buf.append("dayCount").append('=').append(dayCount).append(',').append(' '); buf.append("interpolator").append('=').append(interpolator).append(',').append(' '); buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve)); buf.append('}'); return buf.toString(); } //----------------------------------------------------------------------- /** * The meta-bean for {@code SurfaceIborCapletFloorletVolatilityBootstrapDefinition}. */ public static final class Meta extends DirectMetaBean { /** * The singleton instance of the meta-bean. */ static final Meta INSTANCE = new Meta(); /** * The meta-property for the {@code name} property. */ private final MetaProperty<IborCapletFloorletVolatilitiesName> name = DirectMetaProperty.ofImmutable(this, "name", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, IborCapletFloorletVolatilitiesName.class); /** * The meta-property for the {@code index} property. */ private final MetaProperty<IborIndex> index = DirectMetaProperty.ofImmutable(this, "index", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, IborIndex.class); /** * The meta-property for the {@code dayCount} property. */ private final MetaProperty<DayCount> dayCount = DirectMetaProperty.ofImmutable(this, "dayCount", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, DayCount.class); /** * The meta-property for the {@code interpolator} property. */ private final MetaProperty<GridSurfaceInterpolator> interpolator = DirectMetaProperty.ofImmutable(this, "interpolator", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, GridSurfaceInterpolator.class); /** * The meta-property for the {@code shiftCurve} property. */ private final MetaProperty<Curve> shiftCurve = DirectMetaProperty.ofImmutable(this, "shiftCurve", SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class, Curve.class); /** * The meta-properties. */ private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(this, null, "name", "index", "dayCount", "interpolator", "shiftCurve"); /** * Restricted constructor. */ private Meta() { } @Override protected MetaProperty<?> metaPropertyGet(String propertyName) { switch (propertyName.hashCode()) { case 3373707: // name return name; case 100346066: // index return index; case 1905311443: // dayCount return dayCount; case 2096253127: // interpolator return interpolator; case 1908090253: // shiftCurve return shiftCurve; } return super.metaPropertyGet(propertyName); } @Override public BeanBuilder<? extends SurfaceIborCapletFloorletVolatilityBootstrapDefinition> builder() { return new SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Builder(); } @Override public Class<? extends SurfaceIborCapletFloorletVolatilityBootstrapDefinition> beanType() { return SurfaceIborCapletFloorletVolatilityBootstrapDefinition.class; } @Override public Map<String, MetaProperty<?>> metaPropertyMap() { return metaPropertyMap$; } //----------------------------------------------------------------------- /** * The meta-property for the {@code name} property. * @return the meta-property, not null */ public MetaProperty<IborCapletFloorletVolatilitiesName> name() { return name; } /** * The meta-property for the {@code index} property. * @return the meta-property, not null */ public MetaProperty<IborIndex> index() { return index; } /** * The meta-property for the {@code dayCount} property. * @return the meta-property, not null */ public MetaProperty<DayCount> dayCount() { return dayCount; } /** * The meta-property for the {@code interpolator} property. * @return the meta-property, not null */ public MetaProperty<GridSurfaceInterpolator> interpolator() { return interpolator; } /** * The meta-property for the {@code shiftCurve} property. * @return the meta-property, not null */ public MetaProperty<Curve> shiftCurve() { return shiftCurve; } //----------------------------------------------------------------------- @Override protected Object propertyGet(Bean bean, String propertyName, boolean quiet) { switch (propertyName.hashCode()) { case 3373707: // name return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getName(); case 100346066: // index return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getIndex(); case 1905311443: // dayCount return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getDayCount(); case 2096253127: // interpolator return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).getInterpolator(); case 1908090253: // shiftCurve return ((SurfaceIborCapletFloorletVolatilityBootstrapDefinition) bean).shiftCurve; } return super.propertyGet(bean, propertyName, quiet); } @Override protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) { metaProperty(propertyName); if (quiet) { return; } throw new UnsupportedOperationException("Property cannot be written: " + propertyName); } } //----------------------------------------------------------------------- /** * The bean-builder for {@code SurfaceIborCapletFloorletVolatilityBootstrapDefinition}. */ private static final class Builder extends DirectFieldsBeanBuilder<SurfaceIborCapletFloorletVolatilityBootstrapDefinition> { private IborCapletFloorletVolatilitiesName name; private IborIndex index; private DayCount dayCount; private GridSurfaceInterpolator interpolator; private Curve shiftCurve; /** * Restricted constructor. */ private Builder() { } //----------------------------------------------------------------------- @Override public Object get(String propertyName) { switch (propertyName.hashCode()) { case 3373707: // name return name; case 100346066: // index return index; case 1905311443: // dayCount return dayCount; case 2096253127: // interpolator return interpolator; case 1908090253: // shiftCurve return shiftCurve; default: throw new NoSuchElementException("Unknown property: " + propertyName); } } @Override public Builder set(String propertyName, Object newValue) { switch (propertyName.hashCode()) { case 3373707: // name this.name = (IborCapletFloorletVolatilitiesName) newValue; break; case 100346066: // index this.index = (IborIndex) newValue; break; case 1905311443: // dayCount this.dayCount = (DayCount) newValue; break; case 2096253127: // interpolator this.interpolator = (GridSurfaceInterpolator) newValue; break; case 1908090253: // shiftCurve this.shiftCurve = (Curve) newValue; break; default: throw new NoSuchElementException("Unknown property: " + propertyName); } return this; } @Override public Builder set(MetaProperty<?> property, Object value) { super.set(property, value); return this; } @Override public Builder setString(String propertyName, String value) { setString(meta().metaProperty(propertyName), value); return this; } @Override public Builder setString(MetaProperty<?> property, String value) { super.setString(property, value); return this; } @Override public Builder setAll(Map<String, ? extends Object> propertyValueMap) { super.setAll(propertyValueMap); return this; } @Override public SurfaceIborCapletFloorletVolatilityBootstrapDefinition build() { return new SurfaceIborCapletFloorletVolatilityBootstrapDefinition(name, index, dayCount, interpolator, shiftCurve); } //----------------------------------------------------------------------- @Override public String toString() { StringBuilder buf = new StringBuilder(192); buf.append("SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Builder{"); buf.append("name").append('=').append(JodaBeanUtils.toString(name)).append(',').append(' '); buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' '); buf.append("dayCount").append('=').append(JodaBeanUtils.toString(dayCount)).append(',').append(' '); buf.append("interpolator").append('=').append(JodaBeanUtils.toString(interpolator)).append(',') .append(' '); buf.append("shiftCurve").append('=').append(JodaBeanUtils.toString(shiftCurve)); buf.append('}'); return buf.toString(); } } ///CLOVER:ON //-------------------------- AUTOGENERATED END -------------------------- }